We study the exponential utility indierence value h for a contingentclaim H in an incomplete market driven by two Brownian motions.The claim H depends on a nontradable asset variably correlated withthe traded asset available for hedging. We provide an explicit se-quence that converges to h,...

We consider backward stochastic dierential equations (BSDEs) witha particular quadratic generator and study the behaviour of their solu-tions when the probability measure is changed, the ltration is shrunk,or the underlying probability space is transformed.[...]

We study utility indifference pricing of claim streams with intertemporalconsumption and power (CRRA) utilities. We derive explicit formulasfor the derivatives of the utility indifference price with respect toclaims and wealth. The simple structure of these formulas is a reflectionof surprising...

This paper empirically examines the behavioral precautionary saving hypothesis by Koszegi and Rabin (2009) stating that uncertainty about future income triggers saving because of loss aversion. We extend their theoretical analysis to also consider the internal margin, i.e., the strength, of loss...

We study the consumption and portfolio selection problem of an agent who faces consumption irreversibility: there is disutility from changing consumption levels. The derived preference exhibits intertemporal loss aversion toward consumption changes with the previous consumption level being the...